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Portfolio Time Consistency and Utility Weighted Discount Rates
A fixed point iteration is employed to solve the extended HJB equation.
Optimal annuitization post-retirement with labor income
In this paper, we study the problem of post-retirement annuitization with extra labor income in the framework of stochastic control, optimal stopping, and expected utility maximization.
Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model
In contrast to the standard multi-asset Black-Scholes framework, trading in our market model has a direct impact on the asset's price.
Risk management under Omega measure
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns.
Portfolio Management Optimization and Control
